A robust spline collocation method for pricing American put options

DOI10.1155/2019/1753782MaRDI QIDQ2296452zbMATH OpenOpenAlexWikidataFDO

Authors Zhongdi Cen, Anbo Le, Aimin Xu

Publication date 18 February 2020

Published in Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2019/1753782

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Finite element, Rayleigh-Ritz, Galerkin and collocation methods for ordinary differential equations (65L60)

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Cited in

(4)

• Pricing the American options: a closed-form, simple formula
• Pricing American bond options using a cubic spline collocation method
• A robust finite difference scheme for pricing American put options with singularity-separating method
• A robust spectral method for pricing of American put options on zero-coupon bonds

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